Huygens wave theory describes the wave nature of light. It states that:-
1. Every point on the wave front acts as a secondary source which produces secondary wavelets with the same speed as that of the original wave.
2. All those wavelets which are phase from the new wavefront (tangent drawn by joining all the points on wavelets which are in phase).

Why beyond microwaves the EM waves seems not to follow the Huygens rule but behave as directable rays?

Any waves whose wavelengths are sufficiently small. Since you mention microwaves any wave with greater frequency (so shorter wavelength) will work. Actually, it should be "sufficiently small compared to the slot the wave is going through.

I don't think that there is the sharp delineation you suggest,
Any "ray like" behavior is more obvious at shorter wavelengths than at longer wavelengths.
A "ray" cannot be more compact than the wavelength, so as the wavelength gets longer, any "rays" become much more spread out,
until it becomes difficult to describe them as "rays".